Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0443
Annualized Std Dev 0.2174
Annualized Sharpe (Rf=0%) 0.2038

Row

Daily Return Statistics

Close
Observations 3931.0000
NAs 1.0000
Minimum -0.1353
Quartile 1 -0.0053
Median 0.0008
Arithmetic Mean 0.0003
Geometric Mean 0.0002
Quartile 3 0.0066
Maximum 0.1417
SE Mean 0.0002
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0137
Skewness -0.1645
Kurtosis 14.4931

Downside Risk

Close
Semi Deviation 0.0100
Gain Deviation 0.0098
Loss Deviation 0.0111
Downside Deviation (MAR=210%) 0.0145
Downside Deviation (Rf=0%) 0.0098
Downside Deviation (0%) 0.0098
Maximum Drawdown 0.5971
Historical VaR (95%) -0.0206
Historical ES (95%) -0.0334
Modified VaR (95%) -0.0189
Modified ES (95%) -0.0189
From Trough To Depth Length To Trough Recovery
2007-11-01 2009-03-09 2018-01-12 -0.5971 2568 339 2229
2020-01-21 2020-03-23 2020-07-29 -0.2988 133 44 89
2018-01-29 2018-12-24 2019-12-13 -0.2213 474 229 245
2006-05-10 2006-06-13 2006-11-30 -0.1638 143 24 119
2007-07-13 2007-08-16 2007-09-27 -0.1213 54 25 29

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2005 NA NA NA NA NA NA NA 1.6 -0.4 0.6 1.8 -0.8 2.9
2006 0.5 0.7 -0.5 -0.2 0.5 1.1 -0.7 0.5 -0.4 -0.3 -0.4 0 0.8
2007 0.8 -1.3 0.1 0 0.6 0.6 -0.5 2.1 1.5 -2.3 0.7 -0.9 1.3
2008 1.9 -2.5 2.6 0.7 0.4 -1.1 -1.6 -0.2 -0.5 1.8 -7.6 1.4 -5
2009 -0.5 0.3 1.7 1.3 2.2 1.2 1.6 -2 -2.4 -3.1 2.9 -0.9 2
2010 1.7 1.2 1.6 -1.2 -0.7 1.1 0 3.7 0.9 -0.2 2.6 0.5 11.6
2011 2 -1 0.9 0.5 -2.2 0.9 -0.7 -1 -3.5 -2.7 -1.1 0.4 -7.5
2012 1.4 1.1 0.9 0.4 -2.9 3.4 0.2 0.8 0.9 1.1 0 1.4 8.9
2013 1 0.2 -1.1 -0.7 -2 1 1.5 -0.9 0.2 -0.7 0.2 0.5 -0.8
2014 -1.4 0.3 0.5 0.7 0.2 0.8 -0.5 0 -1.3 1.8 0.1 -0.7 0.3
2015 -1.4 0.1 0.5 0.9 -0.3 0.7 0.6 -3.1 0.3 0.1 1 -1.3 -2
2016 0.2 2.8 -1 -0.3 0.3 0.2 -0.5 0.7 0.6 -0.2 -0.7 0.4 2.4
2017 0.3 0.8 -0.1 0.3 0.8 0.1 0.5 0.2 0.5 0.2 -0.3 0 3.6
2018 0.1 -1.7 1.1 -0.4 0.5 0.8 -0.4 -0.6 0.3 1.5 -0.3 0.3 1.1
2019 0.2 0.9 1 -0.6 -0.7 0.5 -0.2 0.4 -1.1 0.9 -0.5 0.5 1.1
2020 -1.5 -0.3 -4 -1.9 1.9 0.6 -2 0.2 1 -1.1 1.8 -0.6 -5.8
2021 1.7 1.8 0.2 NA NA NA NA NA NA NA NA NA 3.8

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2005-08-05  51.2 SPY    123. -0.0068  -0.007   0.0244    0.0494    0.15     0.419   -0.140 GLD    43.6 -0.0018   0.0182
2 2005-08-08  51.4 SPY    123. -0.0019  -0.0081  0.011     0.041     0.146    0.392   -0.148 GLD    43.4 -0.0057   0.0051
3 2005-08-09  51.9 SPY    123.  0.006   -0.008   0.0119    0.0582    0.140    0.357   -0.147 GLD    43.3 -0.0002   0.0046
4 2005-08-10  52.3 SPY    123. -0.0005  -0.0111  0.0088    0.0519    0.140    0.351   -0.153 GLD    43.6  0.0072   0.0028
5 2005-08-11  53.2 SPY    124.  0.004    0.0008  0.0114    0.0679    0.157    0.366   -0.154 GLD    44.4  0.0183   0.0176
6 2005-08-12  53   SPY    123. -0.0061   0.0015  0.00120   0.0634    0.148    0.383   -0.169 GLD    44.5  0.0009   0.0204
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart